I had a whole topic dedicated to this at my finals
According to that, there are three theories about the connection between your thoughts and language in general, that I won't bore you with
Anyways, I think there's a difference between when you're speaking a language and when you're just, I don't know, walking down the street and thinking about Life and suchlike
For the first: I'm not translating anything in my head first, I just say what I want to say and if, for example, I can't think of a word, I'm thinking about synonyms, but always in the language itself. It sometimes happens that I'm really looking for a word in, say, German, and I can remember it in every other language except that one, and they're swimming in my head and mocking me - really annoying
As to the other one: mostly I'm thinking in Hungarian, though sometimes I catch myself thinking in English (?? search me). Even when I'm in the Netherlands I tend to think Hungarian, though after a couple of weeks it's rather mixed, and at the end of the month it's more Dutch then Hungarian, but it depends, really. But I always have a bit of a difficulty when I arrive in the Netherlands and when I come back after a month, to make the switch in my head. I can speak both languages, but it's these automathic words that I tend to say in the other language without noticing, like "thingie" or "what?" or yes and no.